The role of the term spread in an augmented Taylor rule: An empirical investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of an augmented version of the Taylor rule (ATR) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (1999), and (iv) considers interest rate smoothing. The estimation results show the existence of switching regimes, one characterized by low volatility and the other by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the term spread, inflation and the economic activity index depend on the regime. The estimation results also show robust empirical evidence that the ATR has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period. However, a closer look at the Greenspan period shows the existence of two alternative regimes and that the response of the Fed funds rate to inflation has not been significant during this period once the term spread is considered.

Wadge Bank trawl fishery studies. Pt. 1. The effect of the 1928 to 1935 commercial trawling on the demersal stock

The demersal fish stock of Wadge Bank is one of the important fish resources for both Sri Lanka and India. Sivalingam and Medcof (1957) have given an account of its history, general features and relative productivity. According to records the total fishing effort on the bank had been fluctuating and very recently the number of boats operating on the bank has suddenly increased, and there is a possibility that still more will begin operating on the bank in the near future (Mendis, 1965). The increased fishing effort with the possibility of still further increase calls for proper management practices by those concerned, in order to obtain the maximum sustained yield from the demersal stock. For this purpose a detailed study of the past performance of the fishery is essential. With this in view all records of commercial operations up to 1960 are being analysed by the present author and are to be published in a series. This is the first paper in the series and gives a detailed analysis of the first commercial trawling operations from 1928 to 1935. Since there had been a major break of about 10 years between this and the present fishery this data is being analysed separately.

Anatomy of the portuguese stock market risk and return in the 1977-2012 period

This paper analyses the Portuguese stock market since it reopened in 1977, with a special focus on the evolution of the statistic and stochastic characteristics of the market return throughout this 36 year period. The market return for the period of time between 1977 and 2012 (September 28th) is estimated and then compared with the return that would have been achieved with Government bonds and treasury bills, which allows us to confirm that the hierarchy of return / risk across the different financial instruments is verified. The market risk premium for this 36 year period is also estimated and a comparison with other markets is performed, suggesting that the Portuguese market’s risk has not been compensated by an adequate return. The study also examines the evolution of the Portuguese market’s volatility in the 1977-2012 period and compares it with other markets, showing the existence of extremely high peaks during the first 11 years, but indicating a downwards trend throughout the whole period under analysis. Finally, the correlation between market returns for Portugal and for other countries and the degree of integration are estimated and their evolution throughout time is assessed, leading to the conclusion that the performance of the Portuguese stock market has become increasingly correlated with major European markets – correlation with some markets close to 0.70 from 2000 onwards-, but that country-specific risk factors are still relevant.

A review of Islamic mutual funds’ financial performance and investment style in Muslim and non-Muslim countries

Islamic finance has grown beyond its reputation of providing small-scale banking options and now provides investment and financing options for complex large-scale commercial transactions. Islamic investments are one area that has attracted the attention of investors due to its performance, especially during the economic downturn. The Shari’ah compliance nature of Islamic funds provides an opportunity for those Muslim investors to be part of the global investment sector who have previously been reluctant to invest in conventional mutual funds. The fact that the funds’ managers are prohibited from investing in activities such as weapons production, alcohol production and interest-bearing finance operations, makes Islamic mutual funds also attractive for those Non-Muslim investors who wish to invest ethically. Today there are hundreds of Islamic equity indices offered by Dow Jones, FTSE, MSCI and S&P. Despite the growing importance of Islamic funds, there have been limited studies exploring the performance of Islamic funds worldwide. Due to very limited data sets and not too rigorous analytical methods, these existent studies have neither investigated Islamic funds’ financial performance in noticeable detail nor analysed the investment style of more than six funds. For instance, relevant questions such as the financial performance of Islamic mutual funds’ beyond their investment styles or a difference in performance between funds from Muslim and non-Muslim countries have nearly not been investigated at all. Very recently, a study by Hoepner, Rammal and Rezec (2011) analysed the financial performance and investment style of 262 Islamic equity funds from 20 countries in five regions (Africa, Asia-Pacific, Europe, Gulf Cooperative Council-GCC, and North America). As comparison, previous studies did not even analyse 60 funds. Hoepner et al.’s study sampled a period of two decades and was therefore able to test the performance of the funds during economic booms as well as economic downturns. The findings of the study provide new insights into the performance of Islamic mutual funds in Muslim and Western markets and during financial crisis.

The financial and environmental performance of firms exposed to the EU Emissions Trading Scheme

This thesis is an empirical-based study of the European Union’s Emissions Trading Scheme (EU ETS) and its implications in terms of corporate environmental and financial performance. The novelty of this study includes the extended scope of the data coverage, as most previous studies have examined only the power sector. The use of verified emissions data of ETS-regulated firms as the environmental compliance measure and as the potential differentiating criteria that concern the valuation of EU ETS-exposed firms in the stock market is also an original aspect of this study. The study begins in Chapter 2 by introducing the background information on the emission trading system (ETS), which focuses on (i) the adoption of ETS as an environmental management instrument and (ii) the adoption of ETS by the European Union as one of its central climate policies. Chapter 3 surveys four databases that provide carbon emissions data in order to determine the most suitable source of the data to be used in the later empirical chapters. The first empirical chapter, which is also Chapter 4 of this thesis, investigates the determinants of the emissions compliance performance of the EU ETS-exposed firms through constructing the best possible performance ratio from verified emissions data and self-configuring models for a panel regression analysis. Chapter 5 examines the impacts on the EU ETS-exposed firms in terms of their equity valuation with customised portfolios and multi-factor market models. The research design takes into account the emissions allowance (EUA) price as an additional factor, as it has the most direct association with the EU ETS to control for the exposure. The final empirical Chapter 6 takes the investigation one step further, by specifically testing the degree of ETS exposure facing different sectors with sector-based portfolios and an extended multi-factor market model. The findings from the emissions performance ratio analysis show that the business model of firms significantly influences emissions compliance, as the capital intensity has a positive association with the increasing emissions-to-emissions cap ratio. Furthermore, different sectors show different degrees of sensitivity towards the determining factors. The production factor influences the performance ratio of the Utilities sector, but not the Energy or Materials sectors. The results show that the capital intensity has a more profound influence on the utilities sector than on the materials sector. With regard to the financial performance impact, ETS-exposed firms as aggregate portfolios experienced a substantial underperformance during the 2001–2004 period, but not in the operating period of 2005–2011. The results of the sector-based portfolios show again the differentiating effect of the EU ETS on sectors, as one sector is priced indifferently against its benchmark, three sectors see a constant underperformance, and three sectors have altered outcomes.

Do ethics imply persistence? The case of Islamic and socially responsible funds

We analyse the performance persistence of Islamic and Socially Responsible Investment (SRI) mutual funds. We adopt a multi-stage strategy in which, in the first stage, partial frontiers’ approaches are considered to measure the performance of the different funds in the sample. In the second stage, the results yielded by the partial frontiers are plugged into different investment strategies based on a recursive estimation methodology whose persistence performance is evaluated in the third stage of the analysis. Results indicate that, for both types of funds, performance persistence actually exists, but only for the worst and, most notably, best funds. This result is robust not only across methods (and different choices of tuning parameters within each method) but also across both SRI and Islamic funds—although in the case of the latter persistence was stronger for the best funds. The persistence of SRI and Islamic funds represents an important result for investors and the market, since it provides information on both which funds to invest in and which funds to avoid. Last but not least, the use of the aforementioned techniques in the context of mutual funds could also be of interest for the non-conclusive literature.

Safer construction : the development of a voluntary code of practice to improve safety performance in the Australian construction industry

In Australia, between 1994 and 2000, 50 construction workers were killed each year as a result of their work, the industry fatality rate, at 10.4 per 100,000 persons, is similar to the national road toll fatality rate and the rate of serious injury is 50% higher than the all industries average. This poor performance represents a significant threat to the industry’s social sustainability. Despite the best efforts of regulators and policy makers at both State and Federal levels, the incidence of death, injury and illness in the Australian construction industry has remained intransigently high, prompting an industry-led initiative to improve the occupational health and safety (OHS) performance of the Australian construction industry. The ‘Safer Construction’ project involves the development of an evidence-based Voluntary Code of Practice for OHS in the industry.

Improvements to the fire performance of light gauge steel floor systems

Light gauge steel frame (LSF) structures are increasingly used in commercial and residential buildings because of their non-combustibility, dimensional stability and ease of installation. A common application is in floor-ceiling systems. The LSF floor-ceiling systems must be designed to serve as fire compartment boundaries and provide adequate fire resistance. Fire-rated floor-ceiling assemblies have been increasingly used in buildings. However, limited research has been undertaken in the past and hence a thorough understanding of their fire resistance behaviour is not available. Recently a new composite floor-ceiling system has been developed to provide higher fire rating. But its increased fire rating could not be determined using the currently available design methods. Therefore a research project was conducted to investigate its structural and fire resistance behaviour under standard fire conditions. This paper presents the results of full scale experimental investigations into the structural and fire behaviour of the new LSF floor system protected by the composite ceiling unit. Both the conventional and the new floor systems were tested under structural and fire loads. It demonstrates the improvements provided by the new composite panel system in comparison to conventional floor systems. Numerical studies were also undertaken using the finite element program ABAQUS. Measured temperature profiles of floors were used in the numerical analyses and their results were compared with fire test results. Tests and numerical studies provided a good understanding of the fire behaviour of the LSF floor-ceiling systems and confirmed the superior performance of the new composite system.

Investigating the hydrodynamic performance of a gross pollutant trap

Field studies show that the internal screens in a gross pollutant trap (GPT) are often clogged with organic matter, due to infrequent cleaning. The hydrodynamic performance of a GPT with fully blocked screens was comprehensively investigated under a typical range of onsite operating conditions. Using an acoustic Doppler velocimeter (ADV), velocity profiles across three critical sections of the GPT were measured and integrated to examine the net fluid flow at each section. The data revealed that when the screens are fully blocked, the flow structure within the GPT radically changes. Consequently, the capture/retention performance of the device rapidly deteriorates. Good agreement was achieved between the experimental and the previous 2D computational fluid dynamics (CFD) velocity profiles for the lower GPT inlet flow conditions.

A discussion of the research performance evaluation in building and construction management discipline : the journal impact factors and SCI-index journals

The trend of diminished funding, demands for greater efficiency and higher public accountability have led to a rapid expansion of interest in the bibliometric assessment of research performance of universities. A pilot research is conducted to provide a preliminary overview of the research performance of the building and construction schools or departments through the analysis of bibliometric indicators including the journal impact factor (JIF) published by Institute for Scientific Information (ISI). The suitability of bibliometric evaluation approaches as a measure of research quality in building and construction management research field is discussed.

The hydrodynamic and capture/retention performance of a gross pollutant trap

This research shows that gross pollutant traps (GPTs) continue to play an important role in preventing visible street waste—gross pollutants—from contaminating the environment. The demand for these GPTs calls for stringent quality control and this research provides a foundation to rigorously examine the devices. A novel and comprehensive testing approach to examine a dry sump GPT was developed. The GPT is designed with internal screens to capture gross pollutants—organic matter and anthropogenic litter. This device has not been previously investigated. Apart from the review of GPTs and gross pollutant data, the testing approach includes four additional aspects to this research, which are: field work and an historical overview of street waste/stormwater pollution, calibration of equipment, hydrodynamic studies and gross pollutant capture/retention investigations. This work is the first comprehensive investigation of its kind and provides valuable practical information for the current research and any future work pertaining to the operations of GPTs and management of street waste in the urban environment. Gross pollutant traps—including patented and registered designs developed by industry—have specific internal configurations and hydrodynamic separation characteristics which demand individual testing and performance assessments. Stormwater devices are usually evaluated by environmental protection agencies (EPAs), professional bodies and water research centres. In the USA, the American Society of Civil Engineers (ASCE) and the Environmental Water Resource Institute (EWRI) are examples of professional and research organisations actively involved in these evaluation/verification programs. These programs largely rely on field evaluations alone that are limited in scope, mainly for cost and logistical reasons. In Australia, evaluation/verification programs of new devices in the stormwater industry are not well established. The current limitations in the evaluation methodologies of GPTs have been addressed in this research by establishing a new testing approach. This approach uses a combination of physical and theoretical models to examine in detail the hydrodynamic and capture/retention characteristics of the GPT. The physical model consisted of a 50% scale model GPT rig with screen blockages varying from 0 to 100%. This rig was placed in a 20 m flume and various inlet and outflow operating conditions were modelled on observations made during the field monitoring of GPTs. Due to infrequent cleaning, the retaining screens inside the GPTs were often observed to be blocked with organic matter. Blocked screens can radically change the hydrodynamic and gross pollutant capture/retention characteristics of a GPT as shown from this research. This research involved the use of equipment, such as acoustic Doppler velocimeters (ADVs) and dye concentration (Komori) probes, which were deployed for the first time in a dry sump GPT. Hence, it was necessary to rigorously evaluate the capability and performance of these devices, particularly in the case of the custom made Komori probes, about which little was known. The evaluation revealed that the Komori probes have a frequency response of up to 100 Hz —which is dependent upon fluid velocities—and this was adequate to measure the relevant fluctuations of dye introduced into the GPT flow domain. The outcome of this evaluation resulted in establishing methodologies for the hydrodynamic measurements and gross pollutant capture/retention experiments. The hydrodynamic measurements consisted of point-based acoustic Doppler velocimeter (ADV) measurements, flow field particle image velocimetry (PIV) capture, head loss experiments and computational fluid dynamics (CFD) simulation. The gross pollutant capture/retention experiments included the use of anthropogenic litter components, tracer dye and custom modified artificial gross pollutants. Anthropogenic litter was limited to tin cans, bottle caps and plastic bags, while the artificial pollutants consisted of 40 mm spheres with a range of four buoyancies. The hydrodynamic results led to the definition of global and local flow features. The gross pollutant capture/retention results showed that when the internal retaining screens are fully blocked, the capture/retention performance of the GPT rapidly deteriorates. The overall results showed that the GPT will operate efficiently until at least 70% of the screens are blocked, particularly at high flow rates. This important finding indicates that cleaning operations could be more effectively planned when the GPT capture/retention performance deteriorates. At lower flow rates, the capture/retention performance trends were reversed. There is little difference in the poor capture/retention performance between a fully blocked GPT and a partially filled or empty GPT with 100% screen blockages. The results also revealed that the GPT is designed with an efficient high flow bypass system to avoid upstream blockages. The capture/retention performance of the GPT at medium to high inlet flow rates is close to maximum efficiency (100%). With regard to the design appraisal of the GPT, a raised inlet offers a better capture/retention performance, particularly at lower flow rates. Further design appraisals of the GPT are recommended.

Improving the performance of model-order selection criteria by partial-model selection search

The traditional searching method for model-order selection in linear regression is a nested full-parameters-set searching procedure over the desired orders, which we call full-model order selection. On the other hand, a method for model-selection searches for the best sub-model within each order. In this paper, we propose using the model-selection searching method for model-order selection, which we call partial-model order selection. We show by simulations that the proposed searching method gives better accuracies than the traditional one, especially for low signal-to-noise ratios over a wide range of model-order selection criteria (both information theoretic based and bootstrap-based). Also, we show that for some models the performance of the bootstrap-based criterion improves significantly by using the proposed partial-model selection searching method. Index Terms— Model order estimation, model selection, information theoretic criteria, bootstrap 1. INTRODUCTION Several model-order selection criteria can be applied to find the optimal order. Some of the more commonly used information theoretic-based procedures include Akaike’s information criterion (AIC) [1], corrected Akaike (AICc) [2], minimum description length (MDL) [3], normalized maximum likelihood (NML) [4], Hannan-Quinn criterion (HQC) [5], conditional model-order estimation (CME) [6], and the efficient detection criterion (EDC) [7]. From a practical point of view, it is difficult to decide which model order selection criterion to use. Many of them perform reasonably well when the signal-to-noise ratio (SNR) is high. The discrepancies in their performance, however, become more evident when the SNR is low. In those situations, the performance of the given technique is not only determined by the model structure (say a polynomial trend versus a Fourier series) but, more importantly, by the relative values of the parameters within the model. This makes the comparison between the model-order selection algorithms difficult as within the same model with a given order one could find an example for which one of the methods performs favourably well or fails [6, 8]. Our aim is to improve the performance of the model order selection criteria in cases where the SNR is low by considering a model-selection searching procedure that takes into account not only the full-model order search but also a partial model order search within the given model order. Understandably, the improvement in the performance of the model order estimation is at the expense of additional computational complexity.

An analysis of the KEEP CLEAR pavement markings effects on queuing vehicles dynamic performance at urban signalised intersections

KEEP CLEAR pavement markings are widely used at urban signalised intersections to indicate to drivers to avoid entering blocked intersections. For example, ‘Box junctions’ are most widely used in the United Kingdom and other European countries. However, in Australia, KEEP CLEAR markings are mostly used to improve access from side roads onto a main road, especially when the side road is very close to a signalised intersection. This paper aims to reveal how the KEEP CLEAR markings affect the dynamic performance of the queuing vehicles on the main road, where the side road access is near a signalised intersection. Raw traffic field data was collected from an intersection at the Gold Coast, Australia, and the Kanade–Lucas–Tomasi (KLT) feature tracker approach was used to extract dynamic vehicle data from the raw video footage. The data analysis reveals that the KEEP CLEAR markings generate positive effects on the queuing vehicles in discharge on the main road. This finding refutes the traditional viewpoint that the KEEP CLEAR pavement markings will cause delay for the queuing vehicles’ departure due to the enlarged queue spacing. Further studies are suggested in this paper as well.

Experimental study on the fire performance of superior LSF wall systems

Load bearing Light Gauge Steel Frame (LSF) walls are commonly made of conventional lipped channel sections and gypsum plasterboards. Recently, innovative steel sections such as hollow flange channel sections have been proposed as studs in LSF wall frames with a view to improve their fire resistance ratings. A series of full scale fire tests was then undertaken to investigate the fire performance of the new LSF wall systems under standard fire conditions. Test wall frames made of hollow flange section studs were lined with fire resistant gypsum plasterboards on both sides, and were subjected to increasing temperatures as given by the standard fire curve on one side. Both uninsulated and cavity insulated walls were tested with varying load ratios from 0.2 to 0.6. This paper presents the details of this experimental study on the fire performance of LSF walls and the results. Test results showed that the walls made of the new hollow flange channel section studs have a superior fire performance in comparison to that of lipped channel section stud walls. They also showed that the fire performance of cavity insulated walls was inferior to that of uninsulated walls. The reasons for this fire behaviour are described in this paper.

Improving the performance of nutrition screening through a series of quality improvement initiatives

Background Nutrition screening identifies patients at risk of malnutrition to facilitate early nutritional intervention. Studies have reported incompletion and error rates of 30-90% for a range of commonly used screening tools. This study aims to investigate the incompletion and error rates of 3-Minute Nutrition Screening (3-MinNS) and the effect of quality improvement initiatives in improving the overall performance of the screening tool and the referral process for at risk patients. Methods Annual audits were carried out from 2008-2013 on 4467 patients. Value Stream Mapping, Plan-Do-Check-Act cycle and Root Cause Analysis were used in this study to identify gaps and determine the best intervention. The intervention included 1) implementing a nutrition screening protocol, 2) nutrition screening training, 3) nurse empowerment for online dietetics referral of at-risk cases, 4) closed-loop feedback system and 5) removing a component of 3-MinNS that caused the most error without compromising its sensitivity and specificity. Results Nutrition screening error rates were 33% and 31%, with 5% and 8% blank or missing forms, in 2008 and 2009 respectively. For patients at risk of malnutrition, referral to dietetics took up to 7.5 days, with 10% not referred at all. After intervention, the latter decreased to 7% (2010), 4% (2011) and 3% (2012 and 2013), and the mean turnaround time from screening to referral was reduced significantly from 4.3 ± 1.8 days to 0.3 ± 0.4 days (p < 0.001). Error rates were reduced to 25% (2010), 15% (2011), 7% (2012) and 5% (2013) and percentage of blank or missing forms reduced to and remained at 1%. Conclusion Quality improvement initiatives are effective in reducing the incompletion and error rates of nutrition screening, and led to sustainable improvements in the referral process of patients at nutritional risk.